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By default, as soon as WiFi gets connected, the mobile network shuts down -- so you cannot use both simultaneously. Which means: no, even a proxy allowing for exceptions would not do, as the other network simply is no longer available.

I don't understand why you gave an answer that it is possible in September 2012, yet now in December 2012, claim that it's not possible. Could you care to explain your conflicting answers? android.stackexchange.com/a/29791/26023
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cnstJan 23 '14 at 1:09

Good find. Have you tried the other solution? I never got any feedback on that, except for what Matt wrote over there: It didn't work. Also note what I've quoted here is "general behaviour" (not taking that app into account). Still, it's a good pointer; I'd love to get more feedback on that app – if possible, even positive feedback :)
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IzzyJan 23 '14 at 1:31

Well, you're the one who gave me the links to both of these answers in my question, I'm simply linking together the two unlinked links you gave me. :-)
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cnstJan 23 '14 at 1:33

@cnst Yes, I remember we've discussed that (in chat?) a while ago. But AFAIR that's something each app must so itself, so you cannot set a "global switch" from the outside. I might remember wrongly, though...
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IzzyApr 22 at 7:20